I just had the same exact thing happen to my jetta monday morning.
It's the gasket between the oil cooler and the part that mounts to the block. You have to take off your oil filter, get a 1 1/16" (inch and a sixteenth) deep socket, and a 4" ratchet extension, loosen the nut that's threaded on the same 'bolt' the oil filter is threaded to. The unit slides down from the bottom. I had a hard time getting it out, but I just removed a couple water hoses in my way and the rest was simple.
The gasket cost me $5 at the vw dealership, and they had them in stock.
1998 VW Jetta
2001 Audi S4
2.7 V6 BiTurbo